《MIT王江-金融经济学》.pdf

金融经济学导论 Chapter 1 Intertemporal Choice 1.1 概述 1.1.1 金融经济学的基本框架 金融学的核心问题是资源的有效配置，而资源配置的效率主要体现在两个层面：在 微观层面，配置效率关注的是经济参与者如何使用他们所拥有的资源来最优地满足他们 的经济需要；在宏观层面，配置效率关注的是稀缺资源如何流向最能产生价值的地方。 资源的配置是通过在市场特别是金融市场上的交易来完成的，金融市场是交易金融要求 权 （financial claim ）—— 即对未来资源的要求权的场所。因此，金融学关注的焦点是金 融市场在资源配置中的作用和效率。具体而言，它分析的是每一个市场参与者如何依赖 金融市场达到资源的最优利用，以及市场如何促进资源在参与者之间进行有效配置。 1-1 ⎧⎪⎪ 个体参与者如何作出金融决策，尤其是在金融市场中的交易决策 ⎪ 建立基本框架 个体参与者的这些决策如何决定金融市场的整体行为，特别是金融要求权的价格⎨⎪ ⎪ ⎪ ⎪⎪⎩ 这些价格如何影响资源的实际配置 Robinson Crusoe’s decision is simultaneously one of consumption and investment. In order to decide, he needs two types of information: (1) He needs to understand his own subjective trade-offs between consumption now and consumption in the future. This information is embodied in the utility and indifference curves. (2) He must know the feasible trade-offs between present and future consumption that are technologically possible. These are given in the investment and production opportunity sets. The optimal consumption/investment decision establishes a subjective interest rate. It represents unique optimal rate of exchange between consumption now and in the future. Thus interest rates are an integral part of consumption/investment decision. One can think of the interest rate as the price of deferred consumption or the rate of return on investment. 1-2 1.1.2 基本假设 Consider a world without uncertainty where resources may be consumed today or invested and consumed tomorrow. Given an